Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0752
Annualized Std Dev 0.3393
Annualized Sharpe (Rf=0%) 0.2215

Row

Daily Return Statistics

Close
Observations 5242.0000
NAs 1.0000
Minimum -0.1648
Quartile 1 -0.0095
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0110
Maximum 0.2242
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0011
Variance 0.0005
Stdev 0.0214
Skewness 0.3635
Kurtosis 11.7444

Downside Risk

Close
Semi Deviation 0.0151
Gain Deviation 0.0157
Loss Deviation 0.0157
Downside Deviation (MAR=210%) 0.0194
Downside Deviation (Rf=0%) 0.0148
Downside Deviation (0%) 0.0148
Maximum Drawdown 0.7459
Historical VaR (95%) -0.0318
Historical ES (95%) -0.0495
Modified VaR (95%) -0.0273
Modified ES (95%) -0.0273
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2017-10-31 -0.7459 2518 267 2251
2000-06-12 2001-09-20 2002-03-14 -0.5114 436 317 119
2018-01-29 2020-03-23 2020-12-02 -0.5070 718 541 177
2002-04-24 2003-03-31 2003-10-13 -0.3819 372 236 136
2004-04-13 2004-08-03 2005-01-18 -0.2795 194 78 116

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA -0.3 0.3 1.7 0.3 -0.8 4.6 1.5 -0.5 6.9
2001 -0.9 1.7 -0.4 1.9 -1.7 -2.5 5.6 -2.5 0.5 5.5 2.3 2 11.7
2002 -1.1 2.4 -1.7 -0.4 -1.4 -2.1 -1.4 2.1 5.3 -1.6 -0.5 -0.2 -0.9
2003 1.6 -2 1.6 0.1 0.9 1.1 2 1.5 4.4 -0.4 4.9 0.4 16.9
2004 -0.4 1.1 1.4 -0.7 0 -2.8 -0.5 2.1 3.1 0 1.6 0.9 5.5
2005 -0.2 0.8 1.2 1.5 0.9 1.2 1.3 2.3 -0.6 1.9 2.6 -0.2 13.5
2006 -1.5 1.8 1.9 0.6 1.1 1.3 -2.5 1.4 -2.5 -0.3 0 0 1.2
2007 2.6 -1.8 -0.6 0.8 2 -0.2 -2.4 2.7 4.1 -4.6 1.4 -0.9 2.9
2008 1.6 -3.8 4.3 1.4 1.3 -0.9 -1 -2 -1.7 -5.1 -8.9 1 -13.6
2009 -0.8 -1.8 4.5 1.5 3.6 3.2 1.1 0.6 -4.2 -4.6 2.7 0 5.5
2010 2.4 1.5 3.2 -1 -1.2 0.4 0.1 3.9 1.8 1.8 3.1 0.6 17.7
2011 3.1 -1.5 2.2 0.9 -1.6 1.6 0.3 -1.2 -4.1 -1.6 -0.1 0.1 -2
2012 1.5 0.7 0.5 0.6 -2.3 4.6 0.5 0.8 0.9 0.9 -0.1 1.8 10.9
2013 -0.1 0.4 -1 -1 -1.2 1.1 1.1 0.3 1.5 0.7 1.2 1.2 4.1
2014 0.2 -0.5 1.3 0.5 -1.3 0.8 0.8 -0.4 -2.6 -1.2 -0.8 0.1 -3.2
2015 -2.2 -0.3 0.3 0 -1 1.1 0.6 -2.1 1.6 1 1.7 -0.8 -0.1
2016 -0.3 2.8 -1.4 -1.1 0.4 1.5 0.7 0.5 0.6 -0.8 0.4 -0.6 2.4
2017 0 0.7 -0.5 0.6 0 0.7 0.8 0.3 1.5 2 -0.1 0.2 6.3
2018 -1.4 -0.5 2.2 -0.5 1.9 1.2 -0.7 0.8 -0.5 2.1 -1 -0.5 3.1
2019 -1.1 0.1 2 -0.8 0 -0.4 -1.3 1 -0.5 2 -2.3 0.5 -0.9
2020 -2.9 0.1 -6.9 -3.4 2.6 0.6 -1 1.4 1 -2.2 1.9 -0.1 -8.9
2021 4.1 2.7 1.4 NA NA NA NA NA NA NA NA NA 8.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-05-12  19.7 SPY    143.  0.0108   -0.005   -0.0237   0.0297   0.0675       NA       NA <NA>     NA    NA       NA
2 2000-05-15  19.4 SPY    145.  0.0173    0.0199   0.0071   0.0414   0.0827       NA       NA <NA>     NA    NA       NA
3 2000-05-16  19.8 SPY    147.  0.0088    0.0372   0.0592   0.0388   0.0943       NA       NA <NA>     NA    NA       NA
4 2000-05-17  19.4 SPY    145. -0.00960   0.0509   0.0313   0.0443   0.076        NA       NA <NA>     NA    NA       NA
5 2000-05-18  19.2 SPY    144. -0.00930   0.0179  -0.0045   0.04     0.0725       NA       NA <NA>     NA    NA       NA
6 2000-05-19  19.3 SPY    141. -0.0187   -0.0118  -0.014    0.043    0.0584       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart